On the appropriateness of inappropriate VaR models

DOI10.1007/s10182-006-0234-0zbMath1109.62096OpenAlexW2127294498MaRDI QIDQ878314

Zdeněk Hlávka, Gerhard Stahl, Wolfgang Karl Härdle

Publication date: 26 April 2007

Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2006-003.pdf

zbMATH Keywords

value-at-riskprincipal componentsrandom effects modelprobability forecastmarket index model

Mathematics Subject Classification ID

Uses Software

• XploRe

Cites Work

• ARCH models and financial applications
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• Dynamic Econometrics
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